{
 "cells": [
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# 连续期货\n",
    "\n",
    "\n",
    "可调用的因子列表：\n",
    "\n",
    "'open_N', 'close_N', 'high_N', 'low_N', 'amt', 'pct_chg', 'volume'\n"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 15,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "start loading close_N, db_type is:h5, please wait ...\n"
     ]
    },
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>IC00C1.CFE</th>\n",
       "      <th>IC00C2.CFE</th>\n",
       "      <th>IC00C3.CFE</th>\n",
       "      <th>IC00C4.CFE</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <td>20191101</td>\n",
       "      <td>4948.2</td>\n",
       "      <td>4905.4</td>\n",
       "      <td>4802.2</td>\n",
       "      <td>4714.2</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <td>20191104</td>\n",
       "      <td>4957.8</td>\n",
       "      <td>4913.4</td>\n",
       "      <td>4809.8</td>\n",
       "      <td>4711.8</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <td>20191105</td>\n",
       "      <td>4998.2</td>\n",
       "      <td>4953.2</td>\n",
       "      <td>4853.0</td>\n",
       "      <td>4759.8</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <td>20191106</td>\n",
       "      <td>4955.4</td>\n",
       "      <td>4908.2</td>\n",
       "      <td>4807.4</td>\n",
       "      <td>4712.8</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <td>20191107</td>\n",
       "      <td>4990.4</td>\n",
       "      <td>4937.2</td>\n",
       "      <td>4842.4</td>\n",
       "      <td>4744.6</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <td>20191108</td>\n",
       "      <td>4970.8</td>\n",
       "      <td>4922.0</td>\n",
       "      <td>4823.0</td>\n",
       "      <td>4726.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <td>20191111</td>\n",
       "      <td>4862.0</td>\n",
       "      <td>4809.0</td>\n",
       "      <td>4705.2</td>\n",
       "      <td>4611.2</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <td>20191112</td>\n",
       "      <td>4867.4</td>\n",
       "      <td>4812.0</td>\n",
       "      <td>4707.4</td>\n",
       "      <td>4612.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <td>20191113</td>\n",
       "      <td>4872.2</td>\n",
       "      <td>4817.4</td>\n",
       "      <td>4709.8</td>\n",
       "      <td>4615.8</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <td>20191114</td>\n",
       "      <td>4903.0</td>\n",
       "      <td>4839.2</td>\n",
       "      <td>4720.2</td>\n",
       "      <td>4613.4</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <td>20191115</td>\n",
       "      <td>4898.4</td>\n",
       "      <td>4820.4</td>\n",
       "      <td>4704.0</td>\n",
       "      <td>4600.6</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <td>20191118</td>\n",
       "      <td>4855.0</td>\n",
       "      <td>4812.2</td>\n",
       "      <td>4734.0</td>\n",
       "      <td>4627.8</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "          IC00C1.CFE  IC00C2.CFE  IC00C3.CFE  IC00C4.CFE\n",
       "20191101      4948.2      4905.4      4802.2      4714.2\n",
       "20191104      4957.8      4913.4      4809.8      4711.8\n",
       "20191105      4998.2      4953.2      4853.0      4759.8\n",
       "20191106      4955.4      4908.2      4807.4      4712.8\n",
       "20191107      4990.4      4937.2      4842.4      4744.6\n",
       "20191108      4970.8      4922.0      4823.0      4726.0\n",
       "20191111      4862.0      4809.0      4705.2      4611.2\n",
       "20191112      4867.4      4812.0      4707.4      4612.0\n",
       "20191113      4872.2      4817.4      4709.8      4615.8\n",
       "20191114      4903.0      4839.2      4720.2      4613.4\n",
       "20191115      4898.4      4820.4      4704.0      4600.6\n",
       "20191118      4855.0      4812.2      4734.0      4627.8"
      ]
     },
     "execution_count": 15,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# -*- coding: utf-8 -*-\n",
    "from JuRunPlatform import StrategyPlatform\n",
    "\n",
    "#\n",
    "import pandas as pd\n",
    "\n",
    "# 平台初始化（必须）\n",
    "sp = StrategyPlatform()\n",
    "\n",
    "# 设置要回测的品种（必须）\n",
    "sp.SetStockList(\n",
    "    \"IC00C1.CFE,IC00C2.CFE,IC00C3.CFE,IC00C4.CFE\".split(','))  # 期货连续\n",
    "# sp.SetStockListByCSVFile('future_continuous.csv')\n",
    "\n",
    "# 要操作的日期（必须）\n",
    "sp.SetDate(20191101, 20191118)\n",
    "\n",
    "# 策略begin\n",
    "cps = sp.LoadData('future', 'close_N')  # 第一个参数表示期货\n",
    "cps"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# A股"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 1,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "start loading S_DQ_CLOSE [20100104,20191121], please wait ...\n",
      "start loading S_DQ_CLOSE [20100104,20191121], please wait ...\n",
      "start loading S_DQ_ADJCLOSE [20100104,20191121], please wait ...\n",
      "start loading S_DQ_LOW [20100104,20191121], please wait ...\n",
      "start loading S_DQ_HIGH [20100104,20191121], please wait ...\n",
      "start loading S_DQ_ADJOPEN [20100104,20191121], please wait ...\n",
      "start loading S_DQ_TRADESTATUS_SIG [20100104,20191121], please wait ...\n",
      "start loading S_DQ_ADJPRECLOSE [20100104,20191121], please wait ...\n",
      "+------------+------------+------------+------------+----------------+------------+------------+----------------+\n",
      "|  回测收益  |  多头年化  |  基准年化  |  多头夏普  |  多头最大回撤  |  多空年化  |  多空夏普  |  多空最大回撤  |\n",
      "+------------+------------+------------+------------+----------------+------------+------------+----------------+\n",
      "|  -108.52%  |  -11.06%   |    4.5%    |   -0.54    |    -107.17%    |  -15.57%   |   -1.25    |    -151.01%    |\n",
      "+------------+------------+------------+------------+----------------+------------+------------+----------------+\n"
     ]
    },
    {
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      ],
      "text/plain": [
       "<highcharts.highstock.highstock.Highstock at 0x7f155889c2d0>"
      ]
     },
     "execution_count": 1,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# -*- coding: utf-8 -*-      \n",
    "from JuRunPlatform import StrategyPlatform\n",
    "\n",
    "#\n",
    "import pandas as pd\n",
    "\n",
    "# 平台初始化（必须）\n",
    "sp = StrategyPlatform()\n",
    "\n",
    "# 设置要回测的品种（必须）\n",
    "# sp.SetStockList(\"000001.SZ,000002.SZ,000004.SZ\".split(','))\n",
    "# sp.SetStockList(['000001.SZ', '000002.SZ'])\n",
    "# 或者\n",
    "sp.SetStockListByCSVFile('ashare.csv')\n",
    "\n",
    "# 要操作的日期（必须）\n",
    "sp.SetDate(20100101, 20191130)\n",
    "\n",
    "# 策略begin\n",
    "cps = sp.LoadData('ashare', 'S_DQ_CLOSE')\n",
    "\n",
    "#\n",
    "ma5cps = cps.rolling(5).mean()\n",
    "ma5cps = ma5cps.to_numpy()\n",
    "\n",
    "#\n",
    "ma20cps = cps.rolling(20).mean()\n",
    "ma20cps = ma20cps.to_numpy()\n",
    "\n",
    "#\n",
    "alpha = sp.LoadZeroAlpha()\n",
    "\n",
    "#\n",
    "for i in range(1, len(alpha)):\n",
    "    for j in range(len(alpha[0])):\n",
    "        if ma5cps[i - 1, j] > ma20cps[i - 1, j]:\n",
    "            alpha[i, j] = 1\n",
    "# 策略end\n",
    "\n",
    "# 策略效果\n",
    "sp.GeneratePerformanceAshare(alpha)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# A股指数\n",
    "\n",
    "可调用的因子有：\n",
    "\n",
    "昨收盘价 (点)\n",
    "S_DQ_PRECLOSE\n",
    "\n",
    "开盘价 (点)\n",
    "S_DQ_OPEN\n",
    "\n",
    "最高价 (点)\n",
    "S_DQ_HIGH\n",
    "\n",
    "最低价 (点)\n",
    "S_DQ_LOW\n",
    "\n",
    "收盘价 (点)\n",
    "S_DQ_CLOSE\n",
    "\n",
    "涨跌 (点)\n",
    "S_DQ_CHANGE\n",
    "\n",
    "涨跌幅 (%)\n",
    "S_DQ_PCTCHANGE\n",
    "\n",
    "成交量 (手)\n",
    "S_DQ_VOLUME\n",
    "\n",
    "成交金额 (千元)\n",
    "S_DQ_AMOUNT"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 13,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "start loading S_DQ_CLOSE, db_type is:h5, please wait ...\n"
     ]
    },
    {
     "data": {
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       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>000300.SH</th>\n",
       "      <th>000905.SH</th>\n",
       "      <th>000001.SH</th>\n",
       "      <th>000016.SH</th>\n",
       "      <th>000906.SH</th>\n",
       "      <th>399006.SZ</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <td>20000104</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1406.37097</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <td>20000105</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1409.68201</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <td>20000106</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1463.94202</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <td>20000107</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1516.60400</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <td>20000110</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1545.11206</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <td>20191114</td>\n",
       "      <td>3905.85693</td>\n",
       "      <td>4912.10742</td>\n",
       "      <td>2909.86963</td>\n",
       "      <td>2968.56860</td>\n",
       "      <td>4058.26953</td>\n",
       "      <td>1692.58264</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <td>20191115</td>\n",
       "      <td>3877.08911</td>\n",
       "      <td>4868.43652</td>\n",
       "      <td>2891.34302</td>\n",
       "      <td>2954.70142</td>\n",
       "      <td>4026.95459</td>\n",
       "      <td>1674.78381</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <td>20191118</td>\n",
       "      <td>3907.92920</td>\n",
       "      <td>4892.46094</td>\n",
       "      <td>2909.20020</td>\n",
       "      <td>2980.94580</td>\n",
       "      <td>4056.19067</td>\n",
       "      <td>1682.49170</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <td>20191119</td>\n",
       "      <td>3947.03931</td>\n",
       "      <td>4975.11279</td>\n",
       "      <td>2933.99072</td>\n",
       "      <td>3000.74512</td>\n",
       "      <td>4103.19141</td>\n",
       "      <td>1729.07849</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <td>20191120</td>\n",
       "      <td>3907.86401</td>\n",
       "      <td>4946.27588</td>\n",
       "      <td>2911.05347</td>\n",
       "      <td>2968.12378</td>\n",
       "      <td>4066.37305</td>\n",
       "      <td>1719.66492</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>4817 rows × 6 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "           000300.SH   000905.SH   000001.SH   000016.SH   000906.SH  \\\n",
       "20000104         NaN         NaN  1406.37097         NaN         NaN   \n",
       "20000105         NaN         NaN  1409.68201         NaN         NaN   \n",
       "20000106         NaN         NaN  1463.94202         NaN         NaN   \n",
       "20000107         NaN         NaN  1516.60400         NaN         NaN   \n",
       "20000110         NaN         NaN  1545.11206         NaN         NaN   \n",
       "...              ...         ...         ...         ...         ...   \n",
       "20191114  3905.85693  4912.10742  2909.86963  2968.56860  4058.26953   \n",
       "20191115  3877.08911  4868.43652  2891.34302  2954.70142  4026.95459   \n",
       "20191118  3907.92920  4892.46094  2909.20020  2980.94580  4056.19067   \n",
       "20191119  3947.03931  4975.11279  2933.99072  3000.74512  4103.19141   \n",
       "20191120  3907.86401  4946.27588  2911.05347  2968.12378  4066.37305   \n",
       "\n",
       "           399006.SZ  \n",
       "20000104         NaN  \n",
       "20000105         NaN  \n",
       "20000106         NaN  \n",
       "20000107         NaN  \n",
       "20000110         NaN  \n",
       "...              ...  \n",
       "20191114  1692.58264  \n",
       "20191115  1674.78381  \n",
       "20191118  1682.49170  \n",
       "20191119  1729.07849  \n",
       "20191120  1719.66492  \n",
       "\n",
       "[4817 rows x 6 columns]"
      ]
     },
     "execution_count": 13,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# -*- coding: utf-8 -*-      \n",
    "from JuRunPlatform import StrategyPlatform\n",
    "\n",
    "# 平台初始化\n",
    "sp = StrategyPlatform()\n",
    "\n",
    "# 设置要回测的品种\n",
    "# sp.SetStockList(['CI005331.WI', 'CI005383.WI'])\n",
    "sp.SetStockListByCSVFile('aindex.csv')\n",
    "\n",
    "# 要操作的日期\n",
    "sp.SetDate(20000104, 20191120)\n",
    "\n",
    "# 策略begin\n",
    "cps = sp.LoadData('aindex', 'S_DQ_CLOSE')\n",
    "cps"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  }
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